The Fall 2001 issue of Sport Z magazine had an excellent step by step article on doing just this. I followed their directions pretty much and am real pleased with the results.
I would heartily recommend you get the back issue, and go ahead and subscribe, it's got tons of neat articles and sources of parts.
Their URL is:
www.sportzmagazine.com
Back to your question; briefly and succinctly:
1. Remove from car
2. Remove Horn Pad and affiliated stuff.
3. Immerse in a tub of warmish water and scrub with scotch brite and soap. Remove as much of the hand grease and gunk as you can, but don't scrub so hard that you remove the veining in the plastic. (Yes, the wheel is actually plastic)
4. Start sanding with some steel wool, 000 or so to remove the varnish / coating. Make sure it's smooth, but again don't do so much that you wear through the patina to the bone colored plastic.
5. Scuff / clean / prep the metal spokes.
6. Mask the "wood". Remember you'll be painting black so don't leave openings.
7. Paint the metal. I used Rust-O-Leum Satin Black, almost perfect match for the car, plus this way no primering.
8. Set aside to dry, after air drying I would recommend you hit it with a hot air dryer or a heat gun (carefully) to help harden and set the paint.
9. Once hardened and dry, remove mask from wood and mask the metal. An old trick, get masking tape, and swipe it across your jeans sticky side down, so that it will not be as "grabby" this helps in case your paint is less than totally hard, as it won't pull it off as easy.
10. Paint the wheel with as many coats of clear as you want, be careful as clear is real easy to run. Best tip, do several light to medium coats and allow to dry. Then sand / scuff and apply another set. Keep this up until you achieve the gloss / smoothness / depth you want. (Obviously don't sand the last coat)
11. Reassemble and Reinstall
12. Enjoy!
Hope this helped.